Immunosensors are molecular recognition-based solid-state biosensing devices, in which the immunochemical reactions are coupled with transducers. As biologic or biochemical substances produced by tumor cells, tumor marker plays an important role in clinical diagnosis and treatment of cancer because its concentration is related to tumor size, clinical stage, and predicting prognosis. Voltammetric immunosensors based on the electrochemical analysis technique provide a sensitive electroanalytical approach for quantitatively detecting tumor markers by measuring the current as a function of the potential. To satisfy the need for accurate monitoring of tumor markers in low-concentration and their slight changes in concentration, the primary aim of developing a novel voltammetric immunosensor is to improve its sensitivity and limit of detection. Compared with traditional immunoassay, the advanced sensitivity-amplified immunosensors have applied appropriate amplification strategies to convert the bio-signal of antigen-antibody recognition events to the high electrochemical signal of redox species. Building on the significant concepts, sensitivity and limit of detection, we describe how the performance of voltammetric immunosensors can be improved by various sensitivity amplification mechanisms: (1) construction of labels with a high loading of signal species; (2) introduction of interfacial reaction initiated by functionalized nanomaterials; (3) building a synergistic connection between labels and substrate. The review ends with a summary of the shortage of current sensitivity amplified immunosensors and the perspective of enhancement strategies for more simple, efficient, and reliable voltammetric immunosensors.